Portfolio of Investments
Touchstone Flexible Income Fund – December 31, 2023 (Unaudited)
Principal Amount | Market Value | |||
Corporate Bonds — 32.7% | ||||
Financials — 16.9% | ||||
$ 7,712,000 | Ally Financial, Inc., Ser B, 4.700%(A) | $ 5,779,692 | ||
18,935,000 | Ally Financial, Inc., Ser C, 4.700%(A) | 12,849,840 | ||
5,108,000 | American Express Co., 3.550%(A) | 4,379,088 | ||
3,771,000 | Arch Capital Group Ltd., 3.635%, 6/30/50 | 2,890,263 | ||
5,259,000 | Athene Holding Ltd., 3.950%, 5/25/51 | 3,965,471 | ||
3,410,000 | Bank of America Corp., 6.250%(A) | 3,382,193 | ||
9,957,000 | Bank of America Corp., MTN, 0.981%, 9/25/25 | 9,610,540 | ||
3,811,000 | Bank of New York Mellon Corp. (The), Ser G, 4.700%(A) | 3,714,777 | ||
1,711,000 | Barclays PLC (United Kingdom), 3.330%, 11/24/42 | 1,268,537 | ||
8,651,000 | Brookfield Finance, Inc. (Canada), 6.350%, 1/5/34 | 9,219,516 | ||
23,008,000 | Charles Schwab Corp. (The), Ser G, 5.375%(A) | 22,698,725 | ||
4,126,000 | Citigroup, Inc., 5.000%(A) | 4,013,099 | ||
7,004,000 | Citigroup, Inc., Ser W, 4.000%(A) | 6,463,326 | ||
7,902,000 | Citizens Financial Group, Inc., Ser F, 5.650%(A) | 7,491,331 | ||
2,140,000 | Goldman Sachs Group, Inc. (The), 3.210%, 4/22/42 | 1,644,210 | ||
28,938,000 | JPMorgan Chase & Co., 3.220%, 3/1/25 | 28,819,769 | ||
8,988,000 | Lincoln National Corp., Ser C, 9.250%(A)† | 9,815,238 | ||
4,923,000 | Morgan Stanley, 2.484%, 9/16/36 | 3,911,273 | ||
12,359,000 | Morgan Stanley, 3.620%, 4/17/25 | 12,284,843 | ||
4,983,000 | Nasdaq, Inc., 3.250%, 4/28/50 | 3,525,102 | ||
9,582,000 | Regions Financial Corp., Ser D, 5.750%(A) | 9,304,646 | ||
1,763,000 | UBS Group AG (Switzerland), 144a, 9.250%(A) | 1,902,249 | ||
22,999,000 | Wells Fargo & Co., MTN, 2.406%, 10/30/25 | 22,374,699 | ||
3,706,000 | Wells Fargo & Co., Ser S, 5.900%(A) | 3,664,396 | ||
194,972,823 | ||||
Utilities — 4.7% | ||||
2,625,000 | American Electric Power Co., Inc., 3.250%, 3/1/50 | 1,875,537 | ||
2,087,000 | Berkshire Hathaway Energy Co., 2.850%, 5/15/51 | 1,416,210 | ||
4,935,000 | Duke Energy Corp., 3.300%, 6/15/41 | 3,789,893 | ||
16,342,000 | Edison International, Ser A, 5.375%(A) | 15,456,244 | ||
2,123,000 | NextEra Energy Capital Holdings, Inc., 4.255%, 9/1/24 | 2,102,198 | ||
4,804,000 | Pacific Gas and Electric Co., 3.500%, 8/1/50 | 3,328,316 | ||
26,815,000 | Sempra Energy, 4.875%(A) | 26,236,927 | ||
54,205,325 | ||||
Energy — 4.4% | ||||
2,184,000 | BP Capital Markets America, Inc., 3.001%, 3/17/52 | 1,538,391 | ||
27,956,000 | BP Capital Markets PLC (United Kingdom), 4.875%(A) | 26,572,192 | ||
4,255,000 | Enbridge, Inc. (Canada), 2.150%, 2/16/24 | 4,235,718 | ||
1,808,000 | Enbridge, Inc. (Canada), 8.500%, 1/15/84 | 1,923,180 | ||
6,595,000 | Energy Transfer LP, (TSFR3M + 3.279%), 8.656%, 11/1/66(B) | 5,503,780 | ||
3,749,000 | Energy Transfer LP, Ser G, 7.125%(A) | 3,454,623 | ||
3,804,000 | Kinder Morgan, Inc., 3.250%, 8/1/50 | 2,558,945 | ||
2,625,000 | Valero Energy Corp., 3.650%, 12/1/51 | 1,912,922 | ||
4,651,000 | Williams Cos., Inc. (The), 3.500%, 10/15/51 | 3,407,711 | ||
51,107,462 | ||||
Consumer Discretionary — 1.9% | ||||
14,741,000 | NCL Corp. Ltd., 144a, 8.375%, 2/1/28 | 15,620,625 | ||
3,777,000 | Starbucks Corp., 3.500%, 11/15/50 | 2,943,757 | ||
3,316,000 | Warnermedia Holdings, Inc., 3.428%, 3/15/24 | 3,298,462 | ||
21,862,844 | ||||
Industrials — 1.6% | ||||
5,227,000 | 3M Co., MTN, 3.125%, 9/19/46 | 3,826,032 | ||
7,050,000 | Boeing Co. (The), 3.750%, 2/1/50 | 5,494,039 | ||
5,623,000 | Neptune Bidco US, Inc., 144a, 9.290%, 4/15/29 | 5,242,097 | ||
5,076,000 | RTX Corp., 3.030%, 3/15/52 | 3,516,938 | ||
18,079,106 |
Principal Amount | Market Value | |||
Information Technology — 1.0% | ||||
$ 5,648,000 | Micron Technology, Inc., 3.477%, 11/1/51 | $ 4,111,281 | ||
5,629,000 | Oracle Corp., 3.600%, 4/1/40 | 4,505,993 | ||
3,853,000 | Oracle Corp., 3.850%, 4/1/60 | 2,806,495 | ||
11,423,769 | ||||
Communication Services — 0.7% | ||||
2,894,000 | Alibaba Group Holding Ltd. (Cayman Islands), 3.150%, 2/9/51 | 1,904,602 | ||
4,520,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.500%, 6/1/41 | 3,204,270 | ||
5,122,000 | Verizon Communications, Inc., 2.875%, 11/20/50 | 3,490,799 | ||
8,599,671 | ||||
Real Estate — 0.5% | ||||
2,107,000 | American Tower Corp. REIT, 2.950%, 1/15/51 | 1,410,004 | ||
5,270,000 | Simon Property Group LP REIT, 3.250%, 9/13/49 | 3,821,077 | ||
5,231,081 | ||||
Materials — 0.4% | ||||
5,878,000 | LYB International Finance III LLC, 3.625%, 4/1/51 | 4,289,514 | ||
Health Care — 0.3% | ||||
5,521,000 | Biogen, Inc., 3.150%, 5/1/50 | 3,892,541 | ||
Consumer Staples — 0.3% | ||||
4,651,000 | Macy's Retail Holdings LLC, 4.300%, 2/15/43 | 3,395,345 | ||
Total Corporate Bonds | $377,059,481 | |||
Agency Collateralized Mortgage Obligations — 17.3% | ||||
47,011,406 | FHLMC Multifamily Structured Pass Through Certificates, Ser K109, Class X1, 1.579%, 4/25/30(B)(C)(D) | 3,670,321 | ||
34,368,268 | FHLMC Multifamily Structured Pass Through Certificates, Ser K110, Class X1, 1.696%, 4/25/30(B)(C)(D) | 2,791,459 | ||
7,005,157 | FHLMC Multifamily Structured Pass Through Certificates, Ser K110, Class X3, 3.404%, 6/25/48(B)(C)(D) | 1,177,184 | ||
28,800,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K110, Class XAM, 1.868%, 4/25/30(B)(C)(D) | 2,775,266 | ||
34,554,301 | FHLMC Multifamily Structured Pass Through Certificates, Ser K111, Class X1, 1.570%, 5/25/30(B)(C)(D) | 2,695,429 | ||
19,436,545 | FHLMC Multifamily Structured Pass Through Certificates, Ser K111, Class X3, 3.178%, 4/25/48(B)(C)(D) | 3,120,063 | ||
35,663,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K111, Class XAM, 1.798%, 5/25/30(B)(C)(D) | 3,371,880 | ||
66,586,604 | FHLMC Multifamily Structured Pass Through Certificates, Ser K112, Class X1, 1.433%, 5/25/30(B)(C)(D) | 4,869,252 | ||
15,300,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K112, Class X3, 3.004%, 7/25/48(B)(C)(D) | 2,322,554 | ||
10,630,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K112, Class XAM, 1.665%, 5/25/30(B)(C)(D) | 948,067 | ||
10,743,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K113, Class XAM, 1.585%, 6/25/30(B)(C)(D) | 919,063 | ||
19,500,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K114, Class X3, 2.735%, 8/25/48(B)(C)(D) | 2,680,363 |
1
Touchstone Flexible Income Fund (Unaudited) (Continued)
Principal Amount | Market Value | |||
Agency Collateralized Mortgage Obligations — 17.3% (Continued) | ||||
$ 21,702,896 | FHLMC Multifamily Structured Pass Through Certificates, Ser K115, Class X3, 2.958%, 9/25/48(B)(C)(D) | $ 3,257,559 | ||
26,000,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K116, Class X3, 3.021%, 9/25/47(B)(C)(D) | 4,042,784 | ||
39,700,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K117, Class XAM, 1.432%, 9/25/30(B)(C)(D) | 3,127,070 | ||
24,368,853 | FHLMC Multifamily Structured Pass Through Certificates, Ser K118, Class X3, 2.693%, 10/25/48(B)(C)(D) | 3,404,560 | ||
4,900,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K119, Class X3, 2.728%, 9/25/48(B)(C)(D) | 699,686 | ||
11,576,808 | FHLMC Multifamily Structured Pass Through Certificates, Ser K120, Class X3, 2.741%, 11/25/48(B)(C)(D) | 1,668,506 | ||
16,073,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K121, Class X3, 2.772%, 11/25/48(B)(C)(D) | 2,394,589 | ||
9,700,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K122, Class X3, 2.631%, 1/25/49(B)(C)(D) | 1,351,185 | ||
7,569,056 | FHLMC Multifamily Structured Pass Through Certificates, Ser K123, Class X3, 2.627%, 2/25/49(B)(C)(D) | 1,064,617 | ||
9,255,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K124, Class X3, 2.620%, 2/25/49(B)(C)(D) | 1,308,987 | ||
16,150,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K125, Class X3, 2.653%, 2/25/49(B)(C)(D) | 2,368,236 | ||
38,058,448 | FHLMC Multifamily Structured Pass Through Certificates, Ser K127, Class X3, 2.652%, 3/25/49(B)(C)(D) | 5,518,368 | ||
18,230,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K128, Class X3, 2.781%, 4/25/31(B)(C)(D) | 2,790,005 | ||
10,595,456 | FHLMC Multifamily Structured Pass Through Certificates, Ser K130, Class X3, 3.097%, 8/25/48(B)(C)(D) | 1,888,180 | ||
41,864,611 | FHLMC Multifamily Structured Pass Through Certificates, Ser K130, Class XAM, 1.215%, 7/25/31(B)(C)(D) | 3,158,149 | ||
10,451,281 | FHLMC Multifamily Structured Pass Through Certificates, Ser K131, Class X3, 2.947%, 9/25/31(B)(C)(D) | 1,767,901 | ||
29,501,666 | FHLMC Multifamily Structured Pass Through Certificates, Ser K132, Class X3, 2.888%, 8/25/31(B)(C)(D) | 4,932,068 | ||
9,413,138 | FHLMC Multifamily Structured Pass Through Certificates, Ser K134, Class X3, 2.660%, 10/25/49(B)(C)(D) | 1,471,282 | ||
219,325,419 | FHLMC Multifamily Structured Pass Through Certificates, Ser K136, Class X1, 0.397%, 12/25/31(B)(C)(D) | 4,935,217 | ||
21,000,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K136, Class X3, 2.826%, 12/25/31(B)(C)(D) | 3,517,599 | ||
96,839,687 | FHLMC Multifamily Structured Pass Through Certificates, Ser K136, Class XAM, 0.568%, 12/25/31(B)(C)(D) | 3,496,184 |
Principal Amount | Market Value | |||
Agency Collateralized Mortgage Obligations — 17.3% (Continued) | ||||
$ 20,601,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K137, Class X3, 2.879%, 1/25/49(B)(C)(D) | $ 3,512,098 | ||
31,585,759 | FHLMC Multifamily Structured Pass Through Certificates, Ser K139, Class X3, 3.036%, 2/25/49(B)(C)(D) | 5,748,169 | ||
97,300,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K139, Class XAM, 0.767%, 2/25/32(B)(C)(D) | 4,959,576 | ||
31,370,856 | FHLMC Multifamily Structured Pass Through Certificates, Ser K140, Class X3, 2.945%, 3/25/49(B)(C)(D) | 5,521,688 | ||
10,400,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K143, Class X3, 3.140%, 4/25/50(B)(C)(D) | 1,971,338 | ||
5,835,659 | FHLMC Multifamily Structured Pass Through Certificates, Ser K-1515, Class X3, 3.679%, 3/25/38(B)(C)(D) | 1,588,351 | ||
18,435,033 | FHLMC Multifamily Structured Pass Through Certificates, Ser K-1516, Class X3, 3.457%, 10/25/38(B)(C)(D) | 4,846,814 | ||
34,214,898 | FHLMC Multifamily Structured Pass Through Certificates, Ser K-1517, Class X1, 1.323%, 7/25/35(B)(C)(D) | 3,539,028 | ||
52,485,811 | FHLMC Multifamily Structured Pass Through Certificates, Ser K-1517, Class X3, 3.284%, 8/25/38(B)(C)(D) | 13,006,750 | ||
11,201,391 | FHLMC Multifamily Structured Pass Through Certificates, Ser K-1519, Class X3, 2.800%, 12/25/38(B)(C)(D) | 2,419,796 | ||
54,782,276 | FHLMC Multifamily Structured Pass Through Certificates, Ser K-1520, Class X1, 0.471%, 2/25/36(B)(C)(D) | 2,093,253 | ||
5,000,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K-1520, Class X3, 3.093%, 4/25/39(B)(C)(D) | 1,198,892 | ||
53,776,858 | FHLMC Multifamily Structured Pass Through Certificates, Ser K-1521, Class X1, 0.980%, 8/25/36(B)(C)(D) | 4,386,955 | ||
15,100,238 | FHLMC Multifamily Structured Pass Through Certificates, Ser K739, Class X3, 2.805%, 11/25/48(B)(C)(D) | 1,291,785 | ||
16,196,664 | FHLMC Multifamily Structured Pass Through Certificates, Ser K741, Class X3, 2.447%, 3/25/49(B)(C)(D) | 1,283,931 | ||
16,000,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K742, Class X3, 2.595%, 4/25/28(B)(C)(D) | 1,451,709 | ||
9,500,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K743, Class X3, 2.954%, 6/25/49(B)(C)(D) | 1,004,524 | ||
39,018,396 | FHLMC Multifamily Structured Pass Through Certificates, Ser K744, Class X3, 2.967%, 8/25/49(B)(C)(D) | 4,370,677 | ||
47,774,075 | FHLMC Multifamily Structured Pass Through Certificates, Ser K745, Class X3, 2.673%, 9/25/49(B)(C)(D) | 4,985,889 | ||
146,903,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K745, Class XAM, 1.010%, 9/25/28(B)(C)(D) | 5,913,007 | ||
155,000,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K746, Class XAM, 0.586%, 10/25/28(B)(C)(D) | 3,742,800 |
2
Touchstone Flexible Income Fund (Unaudited) (Continued)
Principal Amount | Market Value | |||
Agency Collateralized Mortgage Obligations — 17.3% (Continued) | ||||
$ 52,159,495 | FHLMC Multifamily Structured Pass Through Certificates, Ser K747, Class X3, 2.549%, 12/25/49(B)(C)(D) | $ 5,442,176 | ||
19,560,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K751, Class X3, 4.843%, 3/25/56(B)(C)(D) | 4,800,621 | ||
29,555,585 | FRESB Mortgage Trust, Ser 2020-SB79, Class X1, 1.083%, 7/25/40(B)(C)(D) | 1,049,938 | ||
73,232,946 | FRESB Mortgage Trust, Ser 2020-SB81, Class X1, 1.034%, 10/25/40(B)(C)(D) | 2,487,306 | ||
34,444,456 | FRESB Mortgage Trust, Ser 2021-SB82, Class X1, 1.061%, 10/25/40(B)(C)(D) | 969,904 | ||
49,515,782 | FRESB Mortgage Trust, Ser 2021-SB83, Class X1, 0.865%, 1/25/41(B)(C)(D) | 1,433,150 | ||
27,779,838 | FRESB Mortgage Trust, Ser 2021-SB84, Class X1, 0.500%, 1/25/41(B)(C)(D) | 573,923 | ||
68,218,748 | FRESB Mortgage Trust, Ser 2021-SB85, Class X1, 0.388%, 3/25/41(B)(C)(D) | 1,330,736 | ||
80,383,989 | FRESB Mortgage Trust, Ser 2021-SB87, Class X1, 0.647%, 4/25/41(B)(C)(D) | 2,277,785 | ||
80,879,409 | FRESB Mortgage Trust, Ser 2021-SB88, Class X1, 0.708%, 5/25/41(B)(C)(D) | 2,592,209 | ||
126,067,673 | FRESB Mortgage Trust, Ser 2022-SB94, Class X1, 0.051%, 11/25/41(B)(C)(D) | 1,512,799 | ||
128,945,902 | FRESB Multifamily Structured Pass Through Certificates, Ser 2021-SB86, Class X1, 0.295%, 3/25/41(B)(C)(D) | 2,492,228 | ||
61,051,219 | FRESB Multifamily Structured Pass Through Certificates, Ser 2021-SB89, Class X1, 0.577%, 6/25/41(B)(C)(D) | 1,501,469 | ||
3,559,074 | GNMA, Ser 2012-147, Class IO, 0.546%, 4/16/54(B)(C)(D) | 37,533 | ||
8,988,694 | GNMA, Ser 2016-110, Class IO, 0.906%, 5/16/58(B)(C)(D) | 343,398 | ||
19,515,619 | GNMA, Ser 2016-158, Class IO, 0.755%, 6/16/58(B)(C)(D) | 644,394 | ||
12,129,184 | GNMA, Ser 2016-52, Class IO, 0.763%, 3/16/58(B)(C)(D) | 398,787 | ||
14,945,164 | GNMA, Ser 2017-76, Class IO, 0.791%, 12/16/56(B)(C)(D) | 617,446 | ||
15,427,771 | GNMA, Ser 2017-94, Class IO, 0.584%, 2/16/59(B)(C)(D) | 473,012 | ||
Total Agency Collateralized Mortgage Obligations | $199,319,477 | |||
Asset-Backed Securities — 8.9% | ||||
700,000 | American Homes 4 Rent Trust, Ser 2014-SFR2, Class D, 144a, 5.149%, 10/17/36 | 692,809 | ||
3,000,000 | American Homes 4 Rent Trust, Ser 2014-SFR2, Class E, 144a, 6.231%, 10/17/36 | 2,987,325 | ||
8,348,000 | American Homes 4 Rent Trust, Ser 2015-SFR1, Class F, 144a, 5.885%, 4/17/52 | 8,296,752 | ||
600,000 | AMSR Trust, Ser 2020-SFR1, Class C, 144a, 2.419%, 4/17/37 | 571,895 | ||
951,966 | B2R Mortgage Trust, Ser 2015-1, Class C, 144a, 4.272%, 5/15/48 | 942,252 | ||
1,600,000 | B2R Mortgage Trust, Ser 2015-1, Class D, 144a, 4.831%, 5/15/48(B)(D) | 1,574,730 | ||
3,300,000 | BA Credit Card Trust, Ser 2021-A1, Class A1, 0.440%, 9/15/26 | 3,251,873 | ||
148,881 | Carmax Auto Owner Trust, Ser 2021-1, Class A3, 0.340%, 12/15/25 | 146,146 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 8.9% (Continued) | ||||
$ 7,200,000 | FirstKey Homes Trust, Ser 2020-SFR2, Class D, 144a, 1.968%, 10/19/37 | $ 6,674,070 | ||
428,645 | GLS Auto Receivables Issuer Trust, Ser 2021-2A, Class C, 144a, 1.080%, 6/15/26 | 421,479 | ||
1,323,823 | Home Partners of America Trust, Ser 2019-1, Class C, 144a, 3.256%, 9/17/39 | 1,195,588 | ||
1,351,834 | JPMorgan Chase Bank NA - CACLN, Ser 2021-1, Class B, 144a, 0.875%, 9/25/28 | 1,327,536 | ||
3,277,562 | JPMorgan Chase Bank NA - CACLN, Ser 2021-2, Class B, 144a, 0.889%, 12/26/28 | 3,203,994 | ||
152,321 | Mid-State Capital Corp. Trust, Ser 2005-1, Class M2, 7.079%, 1/15/40 | 151,694 | ||
750,000 | Palmer Square Loan Funding Ltd. (Cayman Islands), Ser 2021-1A, Class B, 144a, (TSFR3M + 2.062%), 7.477%, 4/20/29(B) | 750,098 | ||
3,000,000 | Palmer Square Loan Funding Ltd. (Cayman Islands), Ser 2021-1A, Class D, 144a, (TSFR3M + 6.262%), 11.677%, 4/20/29(B) | 2,999,478 | ||
250,000 | Palmer Square Loan Funding Ltd. (Cayman Islands), Ser 2021-2A, Class B, 144a, (TSFR3M + 1.662%), 7.029%, 5/20/29(B) | 247,876 | ||
351,273 | Palmer Square Loan Funding Ltd. (Cayman Islands), Ser 2021-3A, Class A1, 144a, (TSFR3M + 1.062%), 6.477%, 7/20/29(B) | 350,614 | ||
2,050,000 | Progress Residential, Ser 2021-SFR1, Class B, 144a, 1.303%, 4/17/38 | 1,855,740 | ||
1,776,000 | Progress Residential, Ser 2021-SFR1, Class C, 144a, 1.555%, 4/17/38 | 1,610,642 | ||
6,900,000 | Progress Residential, Ser 2021-SFR1, Class D, 144a, 1.805%, 4/17/38 | 6,266,029 | ||
975,000 | Progress Residential, Ser 2021-SFR3, Class B, 144a, 1.888%, 5/17/26 | 887,790 | ||
5,330,000 | Progress Residential, Ser 2021-SFR4, Class B, 144a, 1.808%, 5/17/38 | 4,849,473 | ||
200,000 | Progress Residential Trust, Ser 2019-SFR3, Class B, 144a, 2.571%, 9/17/36 | 194,826 | ||
1,075,000 | Progress Residential Trust, Ser 2019-SFR3, Class D, 144a, 2.871%, 9/17/36 | 1,047,493 | ||
3,300,000 | Progress Residential Trust, Ser 2019-SFR3, Class E, 144a, 3.369%, 9/17/36 | 3,222,986 | ||
1,420,000 | Progress Residential Trust, Ser 2019-SFR4, Class D, 144a, 3.136%, 10/17/36 | 1,383,037 | ||
4,200,000 | Progress Residential Trust, Ser 2019-SFR4, Class E, 144a, 3.435%, 10/17/36 | 4,095,184 | ||
250,000 | Progress Residential Trust, Ser 2020-SFR1, Class D, 144a, 2.383%, 4/17/37 | 237,619 | ||
750,000 | Progress Residential Trust, Ser 2020-SFR2, Class C, 144a, 3.077%, 6/17/37 | 718,306 | ||
2,500,000 | Progress Residential Trust, Ser 2020-SFR2, Class D, 144a, 3.874%, 6/17/37 | 2,415,336 | ||
2,200,000 | Progress Residential Trust, Ser 2020-SFR3, Class C, 144a, 1.695%, 10/17/27 | 2,034,498 | ||
3,950,000 | Progress Residential Trust, Ser 2021-SFR5, Class D, 144a, 2.109%, 7/17/38 | 3,556,104 | ||
10,557,318 | Redwood Funding Trust, Ser 2023-1, Class A, 144a, 7.500%, 7/25/59(B)(D) | 10,369,271 | ||
16,350,000 | Tricon American Homes Trust, Ser 2018-SFR1, Class C, 144a, 4.044%, 5/17/37 | 15,936,901 | ||
2,700,000 | Tricon American Homes Trust, Ser 2018-SFR1, Class E, 144a, 4.564%, 5/17/37 | 2,626,368 | ||
3,750,000 | US Bank NA, Ser 2023-1, Class B, 144a, 6.789%, 8/25/32 | 3,759,465 | ||
Total Asset-Backed Securities | $102,853,277 |
3
Touchstone Flexible Income Fund (Unaudited) (Continued)
Shares | MarketValue | |||
Investment Funds — 6.3% | ||||
124,136 | Allspring Income Opportunities± | $ 809,367 | ||
471,630 | BlackRock Corporate High Yield Fund, Inc.±† | 4,447,471 | ||
46,957 | BlackRock Ltd. Duration Income Trust±† | 656,459 | ||
286,654 | BlackRock MuniHoldings Fund, Inc.±† | 3,414,049 | ||
391,899 | BlackRock MuniVest Fund, Inc.± | 2,790,321 | ||
463,976 | BlackRock MuniYield Quality Fund III, Inc.±† | 5,400,681 | ||
493,939 | Eaton Vance Municipal Bond Fund±† | 5,003,602 | ||
54,239 | First Trust High Income Long/Short Fund± | 655,749 | ||
881,778 | Invesco Municipal Opportunity Trust±† | 8,473,887 | ||
454,626 | Invesco Municipal Trust±† | 4,332,586 | ||
468,655 | Invesco Trust for Investment Grade Municipals± | 4,634,998 | ||
1,154,774 | Nuveen AMT-Free Quality Municipal Income Fund± | 12,702,514 | ||
1,250,376 | Nuveen Quality Municipal Income Fund± | 14,316,805 | ||
838,978 | Western Asset High Income Opportunity Fund, Inc.±† | 3,238,455 | ||
121,627 | Western Asset High Yield Defined Opportunity Fund, Inc.± | 1,470,470 | ||
Total Investment Funds | $72,347,414 | |||
Preferred Stocks — 5.3% | ||||
Financials — 4.4% | ||||
647,712 | AGNC Investment Corp. REIT, Ser F, 6.125%(A) | 14,094,213 | ||
146,575 | Allstate Corp. (The), Ser J, 7.375%(A) | 3,957,525 | ||
401,079 | Annaly Capital Management, Inc. REIT, Ser I, 6.750%(A) | 9,742,209 | ||
265,794 | Lincoln National Corp., Ser D, 9.000%(A) | 7,253,518 | ||
130,237 | Reinsurance Group of America, Inc., 7.125%, 10/15/52 | 3,396,581 | ||
290,000 | Rithm Capital Corp. REIT, Ser D, 7.000%(A) | 6,327,800 | ||
94,840 | Stifel Financial Corp., 5.200%, 10/15/47 | 1,948,962 | ||
192,309 | Virtus Convertible & Income Fund, Ser A, 5.625%(A)† | 4,134,663 | ||
50,855,471 | ||||
Utilities — 0.7% | ||||
316,505 | Brookfield Renewable Partners LP (Canada), Ser 17, 5.250%(A) | 5,396,410 | ||
86,225 | Entergy Louisiana LLC, 4.875%, 9/1/66 | 1,833,144 | ||
7,229,554 | ||||
Energy — 0.2% | ||||
87,656 | Enbridge, Inc. (Canada), Ser 5, 5.375%(A) | 1,905,641 | ||
32,865 | Enbridge, Inc. (Canada), Ser L, 5.858%(A) | 625,750 | ||
2,531,391 | ||||
Total Preferred Stocks | $60,616,416 |
Principal Amount | ||||
Non-Agency Collateralized Mortgage Obligations — 3.2% | ||||
$ 52,187 | Bear Stearns Asset Backed Securities Trust, Ser 2003-AC7, Class A2, 5.750%, 1/25/34(B)(D) | 45,601 | ||
677,365 | Fannie Mae Connecticut Avenue Securities, Ser 2014-C01, Class M2, (SOFR30A + 4.514%), 9.852%, 1/25/24(B) | 679,255 | ||
403,497 | Fannie Mae Connecticut Avenue Securities, Ser 2014-C04, Class 1M2, (SOFR30A + 5.014%), 10.352%, 11/25/24(B) | 416,006 | ||
597,468 | Freddie Mac Structured Agency Credit Risk Debt Notes, Ser 2014-DN2, Class M3, (SOFR30A + 3.714%), 9.052%, 4/25/24(B) | 603,453 | ||
19,067,486 | LSTAR Securities Investment Ltd., Ser 2023-1, Class A1, 144a, (SOFR + 3.500%), 8.830%, 1/1/28(B) | 19,035,413 | ||
4,487 | Merrill Lynch Mortgage Investors Trust, Ser 2003-A1, Class 2A, (TSFR12M + 2.340%), 7.553%, 12/25/32(B) | 4,264 |
Principal Amount | MarketValue | |||
Non-Agency Collateralized Mortgage Obligations — 3.2% (Continued) | ||||
$ 75,447 | Morgan Stanley Mortgage Loan Trust, Ser 2004-7AR, Class 2A6, 5.663%, 9/25/34(B)(D) | $ 73,792 | ||
1,637,828 | New Residential Mortgage Loan Trust, Ser 2015-1A, Class B3, 144a, 5.235%, 5/28/52(B)(D) | 1,581,101 | ||
9,731 | RALI Series Trust, Ser 2004-QS6, Class A1, 5.000%, 5/25/19 | 9,018 | ||
1,622,148 | Sequoia Mortgage Trust, Ser 2004-3, Class M1, (TSFR1M + 0.864%), 6.222%, 5/20/34(B) | 1,613,895 | ||
816,912 | Towd Point Mortgage Trust, Ser 2015-5, Class M1, 144a, 3.500%, 5/25/55(B)(D) | 813,504 | ||
12,269,215 | Western Mortgage Reference Notes Series, Ser 2021-CL2, Class M1, 144a, (SOFR30A + 3.150%), 8.487%, 7/25/59(B) | 12,224,669 | ||
Total Non-Agency Collateralized Mortgage Obligations | $37,099,971 |
Shares | ||||
Exchange-Traded Fund — 2.1% | ||||
581,388 | iShares 0-5 Year High Yield Corporate Bond ETF | 24,546,201 |
Principal Amount | ||||
Commercial Mortgage-Backed Securities — 0.1% | ||||
$ 29,202,323 | BANK, Ser 2020-BN26, Class XA, 1.209%, 3/15/63(B)(C)(D) | 1,582,138 | ||
Short-Term U.S. Treasury Obligations — 16.3% | ||||
100,015,000 | U.S. Treasury Bills, 5.280%, 1/11/24# | 99,884,309 | ||
30,307,000 | U.S. Treasury Bills, 5.280%, 2/22/24# | 30,081,705 | ||
60,024,000 | U.S. Treasury Bills, 5.310%, 6/6/24# | 58,710,475 | ||
Total Short-Term U.S. Treasury Obligations | $188,676,489 |
Shares | ||||
Short-Term Investment Funds — 6.4% | ||||
68,184,160 | Dreyfus Government Cash Management, Institutional Shares, 5.25%∞Ω | 68,184,160 | ||
5,538,342 | Invesco Government & Agency Portfolio, Institutional Class, 5.28%∞Ω** | 5,538,342 | ||
Total Short-Term Investment Funds | $73,722,502 | |||
Total Short-Term Securities | $262,398,991 | |||
Total Investment Securities—98.6% (Cost $1,179,877,762) | $1,137,823,366 | |||
Other Assets in Excess of Liabilities — 1.4% | 16,287,771 | |||
Net Assets — 100.0% | $1,154,111,137 |
(A) | Perpetual Bond - A bond or preferred stock with no definite maturity date. |
(B) | Variable rate security - Rate reflected is the rate in effect as of December 31, 2023. |
(C) | Interest only security - This type of security represents the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding. |
(D) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
± | Closed-end Fund. |
** | Represents collateral for securities loaned. |
† | All or a portion of the security is on loan. The total market value of the securities on loan as of December 31, 2023 was $5,413,957. |
# | Zero coupon bond - Rate shown reflects effective yield to maturity at time of purchase. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of December 31, 2023. |
4
Touchstone Flexible Income Fund (Unaudited) (Continued)
Portfolio Abbreviations: |
ETF – Exchange-Traded Fund |
FHLMC – Federal Home Loan Mortgage Corporation |
FRESB – Freddie Mac Multifamily Securitization Small Balance Loan |
GNMA – Government National Mortgage Association |
IO – Interest Only |
LLC – Limited Liability Company |
LP – Limited Partnership |
MTN – Medium Term Note |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
SOFR – Secured Overnight Financing Rate |
SOFR30A – Secured Overnight Financing Rate 30 Day Average |
TSFR12M – Twelve Month Term Secured Overnight Financing Rate |
TSFR1M – One Month Term Secured Overnight Financing Rate |
TSFR3M – Three Month Term Secured Overnight Financing Rate |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023, these securities were valued at $155,723,222 or 13.5% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Other Information:
The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying Notes to Portfolios of Investments.
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Corporate Bonds | $— | $377,059,481 | $— | $377,059,481 |
Agency Collateralized Mortgage Obligations | — | 199,319,477 | — | 199,319,477 |
Asset-Backed Securities | — | 102,853,277 | — | 102,853,277 |
Investment Funds | 72,347,414 | — | — | 72,347,414 |
Preferred Stocks | 60,616,416 | — | — | 60,616,416 |
Non-Agency Collateralized Mortgage Obligations | — | 37,099,971 | — | 37,099,971 |
Exchange-Traded Fund | 24,546,201 | — | — | 24,546,201 |
Commercial Mortgage-Backed Securities | — | 1,582,138 | — | 1,582,138 |
Short-Term U.S. Treasury Obligations | — | 188,676,489 | — | 188,676,489 |
Short-Term Investment Funds | 73,722,502 | — | — | 73,722,502 |
Total | $231,232,533 | $906,590,833 | $— | $1,137,823,366 |
See accompanying Notes to Portfolios of Investments.
5
Portfolio of Investments
Touchstone Focused Fund – December 31, 2023 (Unaudited)
Shares | Market Value | |||
Common Stocks — 93.8% | ||||
Information Technology — 23.2% | ||||
429,876 | Apple, Inc. | $ 82,764,026 | ||
271,026 | Microsoft Corp. | 101,916,617 | ||
227,939 | Oracle Corp. | 24,031,609 | ||
113,560 | Salesforce, Inc.* | 29,882,179 | ||
114,131 | Texas Instruments, Inc. | 19,454,770 | ||
67,768 | Workday, Inc. - Class A* | 18,708,034 | ||
276,757,235 | ||||
Health Care — 14.4% | ||||
208,319 | BioMarin Pharmaceutical, Inc.* | 20,086,118 | ||
317,839 | Bristol-Myers Squibb Co. | 16,308,319 | ||
107,787 | Cencora, Inc. | 22,137,294 | ||
86,671 | HCA Healthcare, Inc. | 23,460,106 | ||
191,981 | Johnson & Johnson | 30,091,102 | ||
289,786 | Medtronic PLC | 23,872,571 | ||
67,427 | UnitedHealth Group, Inc. | 35,498,293 | ||
171,453,803 | ||||
Financials — 14.2% | ||||
748,902 | Bank of America Corp. | 25,215,530 | ||
147,991 | Berkshire Hathaway, Inc. - Class B* | 52,782,470 | ||
77,076 | Goldman Sachs Group, Inc. (The) | 29,733,609 | ||
35,430 | LPL Financial Holdings, Inc. | 8,064,577 | ||
13,475 | Markel Group, Inc.* | 19,133,152 | ||
134,732 | PayPal Holdings, Inc.* | 8,273,892 | ||
100,160 | Visa, Inc. - Class A | 26,076,656 | ||
169,279,886 | ||||
Communication Services — 11.7% | ||||
422,311 | Alphabet, Inc. - Class C* | 59,516,289 | ||
415,250 | Comcast Corp. - Class A | 18,208,713 | ||
143,175 | Meta Platforms, Inc. - Class A* | 50,678,223 | ||
21,850 | Netflix, Inc.* | 10,638,328 | ||
139,041,553 | ||||
Consumer Discretionary — 10.3% | ||||
88,487 | Airbnb, Inc. - Class A* | 12,046,620 | ||
72,279 | Alibaba Group Holding Ltd. (China) ADR | 5,602,345 | ||
315,140 | Amazon.com, Inc.* | 47,882,372 | ||
206,190 | Choice Hotels International, Inc.† | 23,361,327 | ||
101,262 | Cracker Barrel Old Country Store, Inc. | 7,805,275 | ||
92,657 | Floor & Decor Holdings, Inc. - Class A* | 10,336,815 | ||
190,459 | Frontdoor, Inc.* | 6,707,966 | ||
48,188 | Hilton Worldwide Holdings, Inc. | 8,774,553 | ||
122,517,273 | ||||
Industrials — 7.2% | ||||
134,971 | Allegiant Travel Co. | 11,149,954 | ||
79,697 | Boeing Co. (The)* | 20,773,820 | ||
39,237 | Hubbell, Inc. | 12,906,227 | ||
219,215 | RTX Corp. | 18,444,750 | ||
198,319 | SS&C Technologies Holdings, Inc. | 12,119,274 | ||
100,327 | Stanley Black & Decker, Inc. | 9,842,079 | ||
85,236,104 | ||||
Consumer Staples — 6.0% | ||||
320,404 | Coca-Cola Femsa SAB de CV (Mexico) ADR | 30,323,035 |
Shares | Market Value | |||
Consumer Staples — 6.0% (Continued) | ||||
360,553 | Monster Beverage Corp.* | $ 20,771,458 | ||
219,156 | Philip Morris International, Inc. | 20,618,196 | ||
71,712,689 | ||||
Materials — 2.4% | ||||
227,014 | DuPont de Nemours, Inc. | 17,464,187 | ||
140,564 | International Flavors & Fragrances, Inc. | 11,381,467 | ||
28,845,654 | ||||
Real Estate — 2.3% | ||||
460,165 | Americold Realty Trust, Inc. REIT | 13,929,194 | ||
70,700 | Jones Lang LaSalle, Inc.* | 13,353,109 | ||
27,282,303 | ||||
Energy — 2.1% | ||||
251,542 | Exxon Mobil Corp. | 25,149,169 | ||
Total Common Stocks | $1,117,275,669 | |||
Short-Term Investment Funds — 8.1% | ||||
74,641,632 | Dreyfus Government Cash Management, Institutional Shares, 5.25%∞Ω | 74,641,632 | ||
22,100,342 | Invesco Government & Agency Portfolio, Institutional Class, 5.28%∞Ω** | 22,100,342 | ||
Total Short-Term Investment Funds | $96,741,974 | |||
Total Investment Securities—101.9% (Cost $675,687,494) | $1,214,017,643 | |||
Liabilities in Excess of Other Assets — (1.9%) | (22,403,199) | |||
Net Assets — 100.0% | $1,191,614,444 |
* | Non-income producing security. |
** | Represents collateral for securities loaned. |
† | All or a portion of the security is on loan. The total market value of the securities on loan as of December 31, 2023 was $21,730,940. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of December 31, 2023. |
Portfolio Abbreviations: |
ADR – American Depositary Receipt |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
Other Information:
The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying Notes to Portfolios of Investments.
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $1,117,275,669 | $— | $— | $1,117,275,669 |
Short-Term Investment Funds | 96,741,974 | — | — | 96,741,974 |
Total | $1,214,017,643 | $— | $— | $1,214,017,643 |
See accompanying Notes to Portfolios of Investments.
6
Portfolio of Investments
Touchstone Growth Opportunities Fund – December 31, 2023 (Unaudited)
Shares | Market Value | |||
Common Stocks — 97.2% | ||||
Information Technology — 32.2% | ||||
48,676 | Apple, Inc. | $ 9,371,590 | ||
2,073 | Broadcom, Inc. | 2,313,986 | ||
2,861 | HubSpot, Inc.* | 1,660,925 | ||
40,890 | Marvell Technology, Inc. | 2,466,076 | ||
30,087 | Microsoft Corp. | 11,313,916 | ||
12,607 | NVIDIA Corp. | 6,243,239 | ||
11,628 | Salesforce, Inc.* | 3,059,792 | ||
5,198 | ServiceNow, Inc.* | 3,672,335 | ||
9,784 | Workday, Inc. - Class A* | 2,700,971 | ||
42,802,830 | ||||
Health Care — 14.2% | ||||
13,413 | AbbVie, Inc. | 2,078,613 | ||
27,439 | Ascendis Pharma A/S (Denmark) ADR* | 3,455,942 | ||
16,406 | DexCom, Inc.* | 2,035,820 | ||
2,829 | Eli Lilly & Co. | 1,649,081 | ||
7,142 | ICON PLC* | 2,021,686 | ||
8,538 | Inspire Medical Systems, Inc.* | 1,736,885 | ||
10,861 | Masimo Corp.* | 1,273,018 | ||
8,771 | UnitedHealth Group, Inc. | 4,617,668 | ||
18,868,713 | ||||
Consumer Discretionary — 13.6% | ||||
52,450 | Amazon.com, Inc.* | 7,969,253 | ||
1,206 | Chipotle Mexican Grill, Inc.* | 2,758,074 | ||
9,028 | Home Depot, Inc. (The) | 3,128,653 | ||
55,581 | MGM Resorts International | 2,483,359 | ||
6,939 | Tesla, Inc.* | 1,724,203 | ||
18,063,542 | ||||
Industrials — 12.6% | ||||
12,517 | AMETEK, Inc. | 2,063,928 | ||
9,408 | Builders FirstSource, Inc.* | 1,570,571 | ||
18,644 | Ceridian HCM Holding, Inc.* | 1,251,385 | ||
9,121 | JB Hunt Transport Services, Inc. | 1,821,829 | ||
36,384 | Sensata Technologies Holding PLC | 1,366,947 | ||
2,208 | TransDigm Group, Inc. | 2,233,613 | ||
30,284 | Uber Technologies, Inc.* | 1,864,586 | ||
9,669 | Union Pacific Corp. | 2,374,900 | ||
34,671 | WNS Holdings Ltd. (India) ADR* | 2,191,207 | ||
16,738,966 | ||||
Communication Services — 11.0% | ||||
69,059 | Alphabet, Inc. - Class A* | 9,646,852 | ||
13,994 | Meta Platforms, Inc. - Class A* | 4,953,316 | ||
14,600,168 | ||||
Financials — 7.4% | ||||
13,557 | Apollo Global Management, Inc. | 1,263,377 |
Shares | Market Value | |||
Financials — 7.4% (Continued) | ||||
7,491 | Arthur J Gallagher & Co. | $ 1,684,576 | ||
19,325 | Global Payments, Inc. | 2,454,275 | ||
17,369 | Visa, Inc. - Class A | 4,522,019 | ||
9,924,247 | ||||
Consumer Staples — 4.1% | ||||
7,725 | Constellation Brands, Inc. - Class A | 1,867,519 | ||
5,405 | Costco Wholesale Corp. | 3,567,732 | ||
5,435,251 | ||||
Materials — 1.2% | ||||
10,540 | Celanese Corp. | 1,637,600 | ||
Energy — 0.9% | ||||
7,954 | Diamondback Energy, Inc. | 1,233,506 | ||
Total Common Stocks | $129,304,823 | |||
Short-Term Investment Fund — 2.7% | ||||
3,620,054 | Dreyfus Government Cash Management, Institutional Shares, 5.25%∞Ω | 3,620,054 | ||
Total Investment Securities—99.9% (Cost $77,385,954) | $132,924,877 | |||
Other Assets in Excess of Liabilities — 0.1% | 67,314 | |||
Net Assets — 100.0% | $132,992,191 |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of December 31, 2023. |
Portfolio Abbreviations: |
ADR – American Depositary Receipt |
PLC – Public Limited Company |
Other Information:
The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying Notes to Portfolios of Investments.
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $129,304,823 | $— | $— | $129,304,823 |
Short-Term Investment Fund | 3,620,054 | — | — | 3,620,054 |
Total | $132,924,877 | $— | $— | $132,924,877 |
See accompanying Notes to Portfolios of Investments.
7
Portfolio of Investments
Touchstone Mid Cap Growth Fund – December 31, 2023 (Unaudited)
Shares | Market Value | |||
Common Stocks — 99.8% | ||||
Information Technology — 23.6% | ||||
109,895 | CDW Corp. | $ 24,981,331 | ||
171,333 | Datadog, Inc. - Class A* | 20,796,400 | ||
105,296 | Enphase Energy, Inc.* | 13,913,813 | ||
25,410 | Fair Isaac Corp.* | 29,577,494 | ||
51,133 | HubSpot, Inc.* | 29,684,752 | ||
311,002 | Marvell Technology, Inc. | 18,756,531 | ||
168,288 | Microchip Technology, Inc. | 15,176,212 | ||
132,319 | MKS Instruments, Inc. | 13,611,656 | ||
49,417 | MongoDB, Inc.* | 20,204,140 | ||
82,997 | Nice Ltd. (Israel) ADR* | 16,558,731 | ||
76,319 | Palo Alto Networks, Inc.* | 22,504,947 | ||
292,113 | Procore Technologies, Inc.* | 20,220,062 | ||
310,423 | Western Digital Corp.* | 16,256,852 | ||
47,961 | Zebra Technologies Corp. - Class A* | 13,109,180 | ||
119,062 | Zscaler, Inc.* | 26,379,377 | ||
301,731,478 | ||||
Industrials — 22.4% | ||||
138,710 | AMETEK, Inc. | 22,871,892 | ||
89,484 | Axon Enterprise, Inc.* | 23,116,402 | ||
181,642 | Builders FirstSource, Inc.* | 30,323,315 | ||
329,509 | Ceridian HCM Holding, Inc.* | 22,116,644 | ||
610,356 | Copart, Inc. * | 29,907,444 | ||
468,979 | Genpact Ltd. | 16,278,261 | ||
116,390 | JB Hunt Transport Services, Inc. | 23,247,739 | ||
103,986 | Rockwell Automation, Inc. | 32,285,573 | ||
43,315 | TransDigm Group, Inc. | 43,817,454 | ||
127,453 | Waste Connections, Inc. | 19,024,909 | ||
54,189 | Watsco, Inc. | 23,218,361 | ||
286,207,994 | ||||
Health Care — 20.2% | ||||
58,765 | Align Technology, Inc.* | 16,101,610 | ||
260,625 | Ascendis Pharma A/S (Denmark) ADR* | 32,825,719 | ||
925,607 | Avantor, Inc.* | 21,131,608 | ||
58,193 | Cooper Cos., Inc. (The) | 22,022,559 | ||
320,542 | DexCom, Inc.* | 39,776,057 | ||
270,551 | GE HealthCare Technologies, Inc. | 20,919,003 | ||
80,520 | ICON PLC* | 22,792,796 | ||
53,495 | IDEXX Laboratories, Inc.* | 29,692,400 | ||
110,094 | Insulet Corp.* | 23,888,196 | ||
287,341 | Legend Biotech Corp. ADR* | 17,289,308 | ||
107,038 | Masimo Corp.* | 12,545,924 | ||
258,985,180 | ||||
Consumer Discretionary — 10.7% | ||||
162,944 | Aptiv PLC* | 14,619,336 | ||
9,140 | Chipotle Mexican Grill, Inc.* | 20,902,814 | ||
497,980 | DraftKings, Inc. - Class A* | 17,553,795 | ||
130,503 | Hilton Worldwide Holdings, Inc. | 23,763,291 | ||
27,860 | Lululemon Athletica, Inc.* | 14,244,539 | ||
247,649 | Ross Stores, Inc. | 34,272,145 | ||
329,508 | Tapestry, Inc. | 12,129,190 | ||
137,485,110 | ||||
Financials — 9.9% | ||||
356,600 | American International Group, Inc. | 24,159,650 | ||
33,553 | Ameriprise Financial, Inc. | 12,744,436 | ||
203,960 | Ares Management Corp. - Class A | 24,254,923 |
Shares | Market Value | |||
Financials — 9.9% (Continued) | ||||
74,034 | Arthur J Gallagher & Co. | $ 16,648,766 | ||
191,179 | Global Payments, Inc. | 24,279,733 | ||
43,367 | MSCI, Inc. | 24,530,544 | ||
126,618,052 | ||||
Materials — 3.3% | ||||
117,535 | Celanese Corp. | 18,261,413 | ||
106,843 | Vulcan Materials Co. | 24,254,429 | ||
42,515,842 | ||||
Energy — 3.3% | ||||
356,984 | Devon Energy Corp. | 16,171,375 | ||
92,350 | Diamondback Energy, Inc. | 14,321,638 | ||
325,684 | Halliburton Co. | 11,773,477 | ||
42,266,490 | ||||
Real Estate — 3.1% | ||||
245,559 | CoStar Group, Inc.* | 21,459,401 | ||
70,937 | SBA Communications Corp. REIT | 17,996,007 | ||
39,455,408 | ||||
Consumer Staples — 2.3% | ||||
120,968 | Constellation Brands, Inc. - Class A | 29,244,014 | ||
Communication Services — 1.0% | ||||
141,381 | Live Nation Entertainment, Inc.* | 13,233,262 | ||
Total Common Stocks | $1,277,742,830 | |||
Short-Term Investment Fund — 0.5% | ||||
6,468,318 | Dreyfus Government Cash Management, Institutional Shares, 5.25%∞Ω | 6,468,318 | ||
Total Investment Securities—100.3% (Cost $987,719,645) | $1,284,211,148 | |||
Liabilities in Excess of Other Assets — (0.3%) | (3,627,470) | |||
Net Assets — 100.0% | $1,280,583,678 |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of December 31, 2023. |
Portfolio Abbreviations: |
ADR – American Depositary Receipt |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
Other Information:
The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying Notes to Portfolios of Investments.
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $1,277,742,830 | $— | $— | $1,277,742,830 |
Short-Term Investment Fund | 6,468,318 | — | — | 6,468,318 |
Total | $1,284,211,148 | $— | $— | $1,284,211,148 |
See accompanying Notes to Portfolios of Investments.
8
Portfolio of Investments
Touchstone Non-US ESG Equity Fund – December 31, 2023 (Unaudited)
Shares | Market Value | |||
Common Stocks — 99.5% | ||||
Japan — 17.9% | ||||
Communication Services — 3.4% | ||||
378,400 | Nintendo Co. Ltd. | $ 19,689,625 | ||
Consumer Discretionary — 6.2% | ||||
746,400 | Denso Corp. | 11,205,214 | ||
262,200 | Sony Group Corp. | 24,812,750 | ||
Financials — 1.4% | ||||
979,100 | Mitsubishi UFJ Financial Group, Inc. | 8,402,770 | ||
Industrials — 3.4% | ||||
279,900 | Hitachi Ltd. | 20,133,133 | ||
Information Technology — 3.5% | ||||
115,800 | Tokyo Electron Ltd. | 20,582,277 | ||
Total Japan | 104,825,769 | |||
United Kingdom — 13.4% | ||||
Financials — 6.4% | ||||
31,229,569 | Lloyds Banking Group PLC | 18,941,893 | ||
156,740 | London Stock Exchange Group PLC | 18,528,478 | ||
Industrials — 7.0% | ||||
141,295 | Ashtead Group PLC | 9,821,017 | ||
435,817 | RELX PLC | 17,290,525 | ||
2,454,153 | Rentokil Initial PLC | 13,832,257 | ||
Total United Kingdom | 78,414,170 | |||
France — 11.2% | ||||
Energy — 2.2% | ||||
193,089 | TotalEnergies SE ADR† | 13,010,337 | ||
Financials — 2.3% | ||||
197,513 | BNP Paribas SA | 13,716,430 | ||
Industrials — 2.8% | ||||
221,473 | Cie de Saint-Gobain SA | 16,333,038 | ||
Materials — 3.9% | ||||
115,866 | Air Liquide SA | 22,558,579 | ||
Total France | 65,618,384 | |||
Sweden — 8.5% | ||||
Financials — 6.7% | ||||
1,666,385 | Svenska Handelsbanken AB - Class A | 18,109,339 | ||
1,049,491 | Swedbank AB - Class A | 21,218,252 | ||
Industrials — 1.8% | ||||
529,483 | Epiroc AB - Class A | 10,657,908 | ||
Total Sweden | 49,985,499 | |||
Netherlands — 7.9% | ||||
Energy — 3.5% | ||||
309,279 | Shell PLC ADR | 20,350,558 | ||
Financials — 2.2% | ||||
10,038 | Adyen NV, 144a* | 12,958,466 | ||
Health Care — 2.2% | ||||
565,694 | Koninklijke Philips NV* | 13,238,501 | ||
Total Netherlands | 46,547,525 | |||
Germany — 7.5% | ||||
Communication Services — 2.7% | ||||
649,213 | Deutsche Telekom AG | 15,609,225 | ||
Health Care — 1.7% | ||||
63,359 | Merck KGaA | 10,087,674 |
Shares | Market Value | |||
Germany — (Continued) | ||||
Industrials — 3.1% | ||||
365,160 | Deutsche Post AG | $ 18,073,984 | ||
Total Germany | 43,770,883 | |||
Switzerland — 4.6% | ||||
Health Care — 2.5% | ||||
49,866 | Roche Holding AG | 14,495,725 | ||
Industrials — 2.1% | ||||
287,369 | ABB Ltd. ADR | 12,730,447 | ||
Total Switzerland | 27,226,172 | |||
Taiwan — 3.8% | ||||
Information Technology — 3.8% | ||||
213,000 | Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 22,152,000 | ||
India — 3.8% | ||||
Financials — 3.8% | ||||
927,650 | ICICI Bank Ltd. ADR | 22,115,176 | ||
Singapore — 3.7% | ||||
Financials — 2.8% | ||||
1,672,600 | Oversea-Chinese Banking Corp. Ltd. | 16,457,400 | ||
Real Estate — 0.9% | ||||
3,487,200 | CapitaLand Integrated Commercial Trust REIT | 5,435,823 | ||
Total Singapore | 21,893,223 | |||
United States — 3.5% | ||||
Industrials — 3.5% | ||||
103,447 | Schneider Electric SE | 20,824,518 | ||
South Korea — 3.5% | ||||
Communication Services — 3.0% | ||||
431,999 | KT Corp. ADR* | 5,806,066 | ||
452,638 | KT Corp.* | 12,068,954 | ||
Information Technology — 0.5% | ||||
7,642 | Samsung SDI Co. Ltd.* | 2,782,382 | ||
Total South Korea | 20,657,402 | |||
Ireland — 3.1% | ||||
Industrials — 3.1% | ||||
240,883 | AerCap Holdings N.V.* | 17,902,425 | ||
Spain — 2.3% | ||||
Consumer Discretionary — 2.3% | ||||
189,046 | Amadeus IT Group SA | 13,577,578 | ||
Denmark — 1.6% | ||||
Industrials — 1.6% | ||||
299,127 | Vestas Wind Systems A/S* | 9,464,894 | ||
Hong Kong — 1.5% | ||||
Financials — 1.5% | ||||
1,025,800 | AIA Group Ltd. | 8,927,417 | ||
Canada — 1.0% | ||||
Industrials — 1.0% | ||||
133,057 | ATS Corp.* | 5,734,791 | ||
Chile — 0.7% | ||||
Industrials — 0.7% | ||||
72,547 | Sociedad Quimica y Minera de Chile SA ADR† | 4,368,780 | ||
Total Common Stocks | $584,006,606 |
9
Touchstone Non-US ESG Equity Fund (Unaudited) (Continued)
Shares | Market Value | |||
Short-Term Investment Funds — 3.3% | ||||
2,393,969 | Dreyfus Government Cash Management, Institutional Shares, 5.25%∞Ω | $ 2,393,969 | ||
16,842,679 | Invesco Government & Agency Portfolio, Institutional Class, 5.28%∞Ω** | 16,842,679 | ||
Total Short-Term Investment Funds | $19,236,648 | |||
Total Investment Securities — 102.8% (Cost $480,097,063) | $603,243,254 | |||
Liabilities in Excess of Other Assets — (2.8)% | (16,563,199) | |||
Net Assets — 100.0% | $586,680,055 |
* | Non-income producing security. |
** | Represents collateral for securities loaned. |
† | All or a portion of the security is on loan. The total market value of the securities on loan as of December 31, 2023 was $16,472,960. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of December 31, 2023. |
Portfolio Abbreviations: |
ADR – American Depositary Receipt |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023, these securities were valued at $12,958,466 or 2.2% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Other Information:
The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying Notes to Portfolios of Investments.
Valuation inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | ||||
Japan | $— | $104,825,769 | $— | $104,825,769 |
United Kingdom | — | 78,414,170 | — | 78,414,170 |
France | 13,010,337 | 52,608,047 | — | 65,618,384 |
Sweden | — | 49,985,499 | — | 49,985,499 |
Netherlands | 20,350,558 | 26,196,967 | — | 46,547,525 |
Germany | — | 43,770,883 | — | 43,770,883 |
Switzerland | 12,730,447 | 14,495,725 | — | 27,226,172 |
Taiwan | 22,152,000 | — | — | 22,152,000 |
India | 22,115,176 | — | — | 22,115,176 |
Singapore | — | 21,893,223 | — | 21,893,223 |
United States | — | 20,824,518 | — | 20,824,518 |
South Korea | 5,806,066 | 14,851,336 | — | 20,657,402 |
Ireland | 17,902,425 | — | — | 17,902,425 |
Spain | — | 13,577,578 | — | 13,577,578 |
Denmark | — | 9,464,894 | — | 9,464,894 |
Hong Kong | — | 8,927,417 | — | 8,927,417 |
Canada | 5,734,791 | — | — | 5,734,791 |
Chile | 4,368,780 | — | — | 4,368,780 |
Short-Term Investment Funds | 19,236,648 | — | — | 19,236,648 |
Total | $143,407,228 | $459,836,026 | $— | $603,243,254 |
See accompanying Notes to Portfolios of Investments.
10
Portfolio of Investments
Touchstone Sands Capital Emerging Markets Growth Fund – December 31, 2023 (Unaudited)
Shares | Market Value | |||
Common Stocks — 96.8% | ||||
India — 32.8% | ||||
Consumer Discretionary — 5.9% | ||||
6,862,917 | Jubilant Foodworks Ltd. | $ 46,575,970 | ||
2,020,529 | Titan Co. Ltd. | 89,180,085 | ||
Consumer Staples — 3.9% | ||||
1,397,120 | Britannia Industries Ltd. | 89,630,083 | ||
Energy — 2.9% | ||||
2,106,887 | Reliance Industries Ltd. | 65,393,456 | ||
Financials — 13.2% | ||||
1,374,177 | Bajaj Finance Ltd. | 120,915,687 | ||
8,050,677 | Bandhan Bank Ltd., 144a | 23,330,361 | ||
5,394,629 | HDFC Bank Ltd. | 110,460,540 | ||
2,988,019 | HDFC Life Insurance Co. Ltd., 144a | 23,217,345 | ||
3,466,207 | ICICI Prudential Life Insurance Co. Ltd., 144a | 22,257,788 | ||
Health Care — 3.6% | ||||
1,185,847 | Apollo Hospitals Enterprise Ltd. | 81,235,593 | ||
Information Technology — 1.2% | ||||
602,377 | Tata Consultancy Services Ltd. | 27,434,597 | ||
Materials — 2.1% | ||||
1,180,112 | Asian Paints Ltd. | 48,227,127 | ||
Total India | 747,858,632 | |||
Brazil — 20.5% | ||||
Consumer Discretionary — 6.8% | ||||
98,238 | MercadoLibre, Inc.* | 154,384,946 | ||
Consumer Staples — 2.4% | ||||
9,018,756 | Raia Drogasil SA | 54,584,862 | ||
Financials — 7.2% | ||||
10,841,518 | NU Holdings Ltd. - Class A* | 90,309,845 | ||
2,827,587 | XP, Inc. - Class A | 73,715,193 | ||
Industrials — 4.1% | ||||
4,410,615 | Localiza Rent a Car SA | 57,747,677 | ||
4,890,100 | WEG SA | 37,156,948 | ||
Total Brazil | 467,899,471 | |||
China — 13.8% | ||||
Communication Services — 4.3% | ||||
1,431,536 | Kanzhun Ltd. ADR | 23,777,813 | ||
1,960,342 | Tencent Holdings Ltd. | 74,012,464 | ||
Consumer Discretionary — 5.1% | ||||
3,348,474 | Alibaba Group Holding Ltd. | 32,254,319 | ||
6,223,723 | ANTA Sports Products Ltd. | 60,490,296 | ||
12,242,000 | Haidilao International Holding Ltd., 144a | 22,837,227 | ||
Consumer Staples — 1.7% | ||||
7,340,767 | Foshan Haitian Flavouring & Food Co. Ltd. - Class A | 39,293,280 | ||
Health Care — 1.9% | ||||
4,124,242 | Hangzhou Tigermed Consulting Co. Ltd. Class H, 144a† | 18,676,001 | ||
6,301,510 | Wuxi Biologics Cayman, Inc., 144a* | 23,833,910 | ||
Industrials — 0.8% | ||||
836,394 | Contemporary Amperex Technology Co. Ltd. - Class A | 19,254,264 | ||
Total China | 314,429,574 | |||
Taiwan — 6.0% | ||||
Information Technology — 6.0% | ||||
1,315,753 | Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 136,838,312 |
Shares | Market Value | |||
Argentina — 3.5% | ||||
Information Technology — 3.5% | ||||
330,397 | Globant SA* | $ 78,627,878 | ||
United States — 3.4% | ||||
Information Technology — 3.4% | ||||
97,529 | Lam Research Corp. | 76,390,565 | ||
Indonesia — 3.1% | ||||
Financials — 3.1% | ||||
116,161,900 | Bank Central Asia Tbk PT | 70,940,029 | ||
Hong Kong — 3.1% | ||||
Financials — 3.1% | ||||
8,101,931 | AIA Group Ltd. | 70,510,153 | ||
Netherlands — 2.7% | ||||
Information Technology — 2.7% | ||||
80,942 | ASML Holding NV | 61,266,619 | ||
South Korea — 2.4% | ||||
Consumer Discretionary — 1.6% | ||||
2,292,223 | Coupang, Inc.* | 37,111,090 | ||
Information Technology — 0.8% | ||||
49,924 | Samsung SDI Co. Ltd.* | 18,176,870 | ||
Total South Korea | 55,287,960 | |||
Poland — 2.2% | ||||
Consumer Staples — 2.2% | ||||
430,512 | Dino Polska SA, 144a* | 50,406,667 | ||
Kazakhstan — 1.9% | ||||
Financials — 1.9% | ||||
480,224 | Kaspi.KZ JSC GDR | 44,180,608 | ||
Singapore — 1.4% | ||||
Communication Services — 1.4% | ||||
769,865 | Sea Ltd. ADR* | 31,179,532 | ||
Total Common Stocks | $2,205,816,000 |
Number of Rights | ||||
Rights — 0.0% | ||||
Brazil — 0.0% | ||||
Industrials — 0.0% | ||||
15,825 | Localiza Rent a Car SA* | 65,155 | ||
Total Rights | $65,155 |
Shares | ||||
Short-Term Investment Funds — 3.6% | ||||
80,432,395 | Dreyfus Government Cash Management, Institutional Shares, 5.25%∞Ω | 80,432,395 | ||
1,132,880 | Invesco Government & Agency Portfolio, Institutional Class, 5.28%∞Ω** | 1,132,880 | ||
Total Short-Term Investment Funds | $81,565,275 | |||
Total Investment Securities — 100.4% (Cost $1,876,142,409) | $2,287,446,430 | |||
Liabilities in Excess of Other Assets — (0.4)% | (9,428,455) | |||
Net Assets — 100.0% | $2,278,017,975 |
* | Non-income producing security. |
** | Represents collateral for securities loaned. |
11
Touchstone Sands Capital Emerging Markets Growth Fund (Unaudited) (Continued)
† | All or a portion of the security is on loan. The total market value of the securities on loan as of December 31, 2023 was $1,077,747. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of December 31, 2023. |
Portfolio Abbreviations: |
ADR – American Depositary Receipt |
GDR – Global Depositary Receipt |
JSC – Joint Stock Company |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023, these securities were valued at $184,559,299 or 8.1% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Other Information:
The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying Notes to Portfolios of Investments.
Valuation inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | ||||
India | $89,630,083 | $658,228,549 | $— | $747,858,632 |
Brazil | 467,899,471 | — | — | 467,899,471 |
China | 23,777,813 | 290,651,761 | — | 314,429,574 |
Taiwan | 136,838,312 | — | — | 136,838,312 |
Argentina | 78,627,878 | — | — | 78,627,878 |
United States | 76,390,565 | — | — | 76,390,565 |
Indonesia | — | 70,940,029 | — | 70,940,029 |
Hong Kong | — | 70,510,153 | — | 70,510,153 |
Netherlands | 61,266,619 | — | — | 61,266,619 |
South Korea | 37,111,090 | 18,176,870 | — | 55,287,960 |
Poland | — | 50,406,667 | — | 50,406,667 |
Kazakhstan | 44,180,608 | — | — | 44,180,608 |
Singapore | 31,179,532 | — | — | 31,179,532 |
Rights | 65,155 | — | — | 65,155 |
Short-Term Investment Funds | 81,565,275 | — | — | 81,565,275 |
Total | $1,128,532,401 | $1,158,914,029 | $— | $2,287,446,430 |
See accompanying Notes to Portfolios of Investments.
12
Portfolio of Investments
Touchstone Strategic Income Opportunities Fund – December 31, 2023 (Unaudited)
Principal Amount | Market Value | |||
Corporate Bonds — 45.0% | ||||
Financials — 9.7% | ||||
$ 1,657,000 | Bank of Nova Scotia (The) (Canada), 3.625%, 10/27/81 | $ 1,272,412 | ||
1,971,000 | Barclays PLC (United Kingdom), 2.894%, 11/24/32 | 1,618,265 | ||
818,000 | Charles Schwab Corp. (The), Ser H, 4.000%(A) | 645,986 | ||
1,421,000 | Citigroup, Inc., Ser W, 4.000%(A) | 1,311,306 | ||
1,321,000 | Corestates Capital III, 144a, (TSFR3M + 0.832%), 6.211%, 2/15/27(B) | 1,258,278 | ||
408,000 | Credit Acceptance Corp., 144a, 9.250%, 12/15/28 | 435,091 | ||
1,199,000 | First Maryland Capital II, (TSFR3M + 1.112%), 6.489%, 2/1/27(B) | 1,087,536 | ||
343,000 | FirstCash, Inc., 144a, 4.625%, 9/1/28 | 320,198 | ||
531,000 | goeasy Ltd. (Canada), 144a, 9.250%, 12/1/28 | 567,092 | ||
1,100,000 | Goldman Sachs Group, Inc. (The), 6.561%, 10/24/34 | 1,212,538 | ||
1,430,000 | Golub Capital BDC, Inc., 2.050%, 2/15/27 | 1,256,576 | ||
634,000 | Icahn Enterprises LP / Icahn Enterprises Finance Corp., 5.250%, 5/15/27 | 570,604 | ||
1,420,000 | Morgan Stanley, 5.297%, 4/20/37 | 1,384,387 | ||
688,000 | OneMain Finance Corp., 9.000%, 1/15/29 | 727,769 | ||
448,000 | PennyMac Financial Services, Inc., 144a, 7.875%, 12/15/29 | 461,216 | ||
1,318,000 | PNC Capital Trust, (TSFR3M + 0.832%), 6.209%, 6/1/28(B) | 1,226,048 | ||
589,000 | PRA Group, Inc., 144a, 7.375%, 9/1/25 | 583,140 | ||
890,000 | Sabra Health Care LP REIT, 3.900%, 10/15/29 | 801,329 | ||
1,324,000 | Sixth Street Specialty Lending, Inc., 2.500%, 8/1/26 | 1,210,870 | ||
1,824,000 | Truist Bank, Ser A, (TSFR3M + 0.932%), 6.311%, 5/15/27(B) | 1,713,767 | ||
19,664,408 | ||||
Consumer Discretionary — 7.7% | ||||
1,717,000 | Brunswick Corp., 4.400%, 9/15/32 | 1,567,644 | ||
633,000 | Carriage Services, Inc., 144a, 4.250%, 5/15/29 | 562,193 | ||
315,000 | Ford Motor Co., 4.750%, 1/15/43 | 260,995 | ||
460,000 | Ford Motor Credit Co. LLC, 4.125%, 8/17/27 | 435,905 | ||
810,000 | Forestar Group, Inc., 144a, 3.850%, 5/15/26 | 770,099 | ||
896,000 | Gap, Inc. (The), 144a, 3.625%, 10/1/29 | 766,015 | ||
730,000 | GEMS MENASA Cayman Ltd. / GEMS Education Delaware LLC (United Arab Emirates), 7.125%, 7/31/26 | 718,426 | ||
2,034,000 | General Motors Financial Co., Inc., 3.100%, 1/12/32 | 1,734,699 | ||
1,155,000 | GENM Capital Labuan Ltd. (Malaysia), 144a, 3.882%, 4/19/31 | 986,928 | ||
1,252,000 | Mattel, Inc., 5.450%, 11/1/41 | 1,121,648 | ||
1,097,000 | Meritage Homes Corp., 144a, 3.875%, 4/15/29 | 1,008,083 | ||
757,000 | MGM China Holdings Ltd. (Macao), 144a, 5.375%, 5/15/24 | 753,170 | ||
628,000 | Royal Caribbean Cruises Ltd., 144a, 5.375%, 7/15/27 | 621,753 | ||
660,000 | Speedway Motorsports LLC / Speedway Funding II, Inc., 144a, 4.875%, 11/1/27 | 619,563 | ||
1,629,000 | Toll Brothers Finance Corp., 3.800%, 11/1/29 | 1,527,942 | ||
1,636,000 | Warnermedia Holdings, Inc., 5.141%, 3/15/52 | 1,411,634 | ||
661,000 | Wynn Macau Ltd. (Macao), 144a, 4.875%, 10/1/24 | 652,133 | ||
15,518,830 | ||||
Utilities — 5.5% | ||||
1,636,000 | CMS Energy Corp., 4.750%, 6/1/50 | 1,477,194 | ||
1,155,000 | Edison International, 4.125%, 3/15/28 | 1,116,080 | ||
1,075,000 | Edison International, Ser B, 5.000%(A) | 1,000,936 | ||
600,000 | Eskom Holdings SOC Ltd. (South Africa), 144a, 8.450%, 8/10/28 | 607,800 | ||
554,000 | FirstEnergy Transmission LLC, 144a, 5.450%, 7/15/44 | 536,924 | ||
1,345,000 | Minejesa Capital BV (Indonesia), 4.625%, 8/10/30 | 1,276,069 | ||
1,395,000 | NextEra Energy Capital Holdings, Inc., (TSFR3M + 2.387%), 7.771%, 6/15/67(B) | 1,248,144 |
Principal Amount | Market Value | |||
Utilities — 5.5% (Continued) | ||||
$ 1,155,000 | Pacific Gas & Electric Co., 2.500%, 2/1/31 | $ 954,677 | ||
1,110,000 | PPL Capital Funding, Inc., Ser A, (TSFR3M + 2.927%), 8.275%, 3/30/67(B) | 1,034,895 | ||
1,979,000 | WEC Energy Group, Inc., (TSFR3M + 2.374%), 7.754%, 5/15/67(B) | 1,770,222 | ||
11,022,941 | ||||
Energy — 5.4% | ||||
1,000,000 | Aker BP ASA (Norway), 144a, 6.000%, 6/13/33 | 1,040,620 | ||
624,000 | Baytex Energy Corp. (Canada), 144a, 8.500%, 4/30/30 | 645,617 | ||
459,000 | Cenovus Energy, Inc. (Canada), 5.250%, 6/15/37 | 434,298 | ||
616,000 | Civitas Resources, Inc., 144a, 8.375%, 7/1/28 | 643,113 | ||
735,000 | CQP Holdco LP / BIP-V Chinook Holdco LLC, 144a, 5.500%, 6/15/31 | 696,354 | ||
630,000 | Ecopetrol SA (Colombia), 8.625%, 1/19/29 | 671,317 | ||
201,000 | Genesis Energy LP / Genesis Energy Finance Corp., 8.000%, 1/15/27 | 204,500 | ||
88,000 | Genesis Energy LP / Genesis Energy Finance Corp., 8.250%, 1/15/29 | 90,451 | ||
149,000 | Hilcorp Energy I LP / Hilcorp Finance Co., 144a, 5.750%, 2/1/29 | 144,011 | ||
433,000 | Hilcorp Energy I LP / Hilcorp Finance Co., 144a, 6.000%, 2/1/31 | 417,656 | ||
607,341 | MC Brazil Downstream Trading SARL (Brazil), 144a, 7.250%, 6/30/31 | 476,004 | ||
405,000 | Mesquite Energy, Inc., 7.250%, 2/15/24 | 30,375 | ||
1,619,000 | Midwest Connector Capital Co. LLC, 144a, 4.625%, 4/1/29 | 1,560,308 | ||
1,130,000 | NGPL PipeCo LLC, 144a, 7.768%, 12/15/37 | 1,256,816 | ||
784,000 | Parkland Corp. (Canada), 144a, 4.500%, 10/1/29 | 718,512 | ||
350,000 | Petroleos Mexicanos (Mexico), 6.375%, 1/23/45 | 228,103 | ||
750,000 | Petroleos Mexicanos (Mexico), 6.625%, 6/15/35 | 575,364 | ||
804,000 | Plains All American Pipeline LP, (TSFR3M + 4.372%), 9.751%(A)(B) | 776,865 | ||
378,000 | Precision Drilling Corp. (Canada), 144a, 6.875%, 1/15/29 | 364,517 | ||
10,974,801 | ||||
Industrials — 5.0% | ||||
726,000 | Amsted Industries, Inc., 144a, 4.625%, 5/15/30 | 664,450 | ||
773,000 | Boeing Co. (The), 5.805%, 5/1/50 | 803,697 | ||
948,000 | Canpack SA / Canpack US LLC (Poland), 144a, 3.125%, 11/1/25 | 898,257 | ||
1,190,000 | Cemex SAB de CV (Mexico), 144a, 5.125%(A) | 1,128,773 | ||
686,000 | Cimpress PLC (Ireland), 7.000%, 6/15/26 | 670,565 | ||
635,000 | Fortress Transportation & Infrastructure Investors LLC, 144a, 6.500%, 10/1/25 | 632,972 | ||
715,000 | IHS Holding Ltd. (Nigeria), 5.625%, 11/29/26 | 620,434 | ||
784,000 | Imola Merger Corp., 144a, 4.750%, 5/15/29 | 745,130 | ||
869,000 | Stericycle, Inc., 144a, 3.875%, 1/15/29 | 788,504 | ||
812,000 | TK Elevator Holdco GmbH (Germany), 144a, 7.625%, 7/15/28 | 797,620 | ||
813,000 | TransDigm, Inc., 144a, 6.250%, 3/15/26 | 811,545 | ||
1,716,000 | Weir Group PLC (The) (United Kingdom), 144a, 2.200%, 5/13/26 | 1,595,934 | ||
10,157,881 | ||||
Consumer Staples — 2.5% | ||||
950,000 | Coruripe Netherlands BV (Brazil), 144a, 10.000%, 2/10/27 | 729,125 | ||
697,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 6.500%, 12/1/52 | 701,864 | ||
1,376,000 | Philip Morris International, Inc., 5.375%, 2/15/33 | 1,412,910 | ||
1,002,000 | QVC, Inc., 4.375%, 9/1/28 | 723,424 |
13
Touchstone Strategic Income Opportunities Fund (Unaudited) (Continued)
Principal Amount | Market Value | |||
Corporate Bonds — 45.0% (Continued) | ||||
Consumer Staples — 2.5% (Continued) | ||||
$ 1,076,000 | Simmons Foods, Inc. / Simmons Prepared Foods, Inc. / Simmons Pet Food, Inc. / Simmons Feed, 144a, 4.625%, 3/1/29 | $ 931,746 | ||
632,000 | Turning Point Brands, Inc., 144a, 5.625%, 2/15/26 | 589,707 | ||
5,088,776 | ||||
Health Care — 2.4% | ||||
1,259,000 | CVS Health Corp., 5.050%, 3/25/48 | 1,182,991 | ||
807,000 | Herbalife Nutrition Ltd. / HLF Financing, Inc., 144a, 7.875%, 9/1/25 | 796,922 | ||
860,000 | Medline Borrower LP, 144a, 3.875%, 4/1/29 | 777,442 | ||
862,000 | MEDNAX, Inc., 144a, 5.375%, 2/15/30† | 767,260 | ||
1,470,000 | Viatris, Inc., 2.700%, 6/22/30 | 1,243,815 | ||
4,768,430 | ||||
Communication Services — 2.3% | ||||
900,000 | Block Communications, Inc., 144a, 4.875%, 3/1/28 | 787,500 | ||
1,262,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 4.250%, 2/1/31 | 1,103,036 | ||
1,038,000 | CSC Holdings LLC, 144a, 4.625%, 12/1/30 | 625,341 | ||
1,056,000 | Gray Escrow II, Inc., 144a, 5.375%, 11/15/31 | 799,961 | ||
568,000 | Paramount Global, 4.200%, 5/19/32 | 508,234 | ||
814,000 | Stagwell Global, 144a, 5.625%, 8/15/29 | 748,770 | ||
4,572,842 | ||||
Real Estate — 1.9% | ||||
725,000 | Kilroy Realty LP REIT, 3.050%, 2/15/30 | 616,846 | ||
647,000 | RHP Hotel Properties LP / RHP Finance Corp. REIT, 144a, 4.500%, 2/15/29 | 601,736 | ||
1,024,000 | SBA Tower Trust REIT, 144a, 6.599%, 1/15/28 | 1,053,166 | ||
2,068,000 | STORE Capital Corp. REIT, 2.750%, 11/18/30 | 1,625,947 | ||
3,897,695 | ||||
Information Technology — 1.5% | ||||
1,326,000 | Micron Technology, Inc., 2.703%, 4/15/32 | 1,115,438 | ||
586,000 | Micron Technology, Inc., 6.750%, 11/1/29 | 633,962 | ||
594,000 | Open Text Corp. (Canada), 144a, 3.875%, 12/1/29 | 532,577 | ||
806,000 | Xerox Holdings Corp., 144a, 5.000%, 8/15/25 | 789,458 | ||
3,071,435 | ||||
Materials — 1.1% | ||||
693,000 | Braskem Idesa SAPI (Mexico), 144a, 6.990%, 2/20/32 | 391,545 | ||
723,000 | Braskem Netherlands Finance BV (Brazil), 144a, 7.250%, 2/13/33 | 608,814 | ||
1,102,000 | Celanese US Holdings LLC, 6.165%, 7/15/27 | 1,129,904 | ||
2,130,263 | ||||
Total Corporate Bonds | $90,868,302 | |||
U.S. Treasury Obligations — 23.8% | ||||
3,610,000 | U.S. Treasury Bond, 2.375%, 2/15/42 | 2,780,828 | ||
7,000,000 | U.S. Treasury Bond, 3.875%, 5/15/43 | 6,698,125 | ||
5,440,000 | U.S. Treasury Bond, 4.000%, 11/15/52 | 5,392,612 | ||
8,400,000 | U.S. Treasury Bond, 4.375%, 8/15/43 | 8,606,063 | ||
5,036,383 | U.S. Treasury Inflation Indexed Note, 1.250%, 4/15/28 | 4,910,720 | ||
6,974,849 | U.S. Treasury Inflation Indexed Note, 1.375%, 7/15/33 | 6,784,312 | ||
6,000,000 | U.S. Treasury Note, 3.000%, 6/30/24 | 5,937,188 | ||
6,870,000 | U.S. Treasury Note, 4.000%, 2/29/28 | 6,898,178 | ||
Total U.S. Treasury Obligations | $48,008,026 | |||
Asset-Backed Securities — 12.0% | ||||
2,000,000 | AB BSL CLO 3, Ltd. (Cayman Islands), Ser 2021-3A, Class D, 144a, (TSFR3M + 3.462%), 8.877%, 10/20/34(B) | 1,999,840 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 12.0% (Continued) | ||||
$ 2,554,500 | AB Issuer LLC, Ser 2021-1, Class A2, 144a, 3.734%, 7/30/51 | $ 2,223,856 | ||
2,100,000 | Apex Credit CLO 2020-II LLC (Cayman Islands), Ser 2020-2A, Class B, 144a, (TSFR3M + 2.962%), 8.364%, 4/17/33(B) | 2,063,088 | ||
2,250,000 | Birch Grove CLO 2, Ltd. (Cayman Islands), Ser 2021-2A, Class C, 144a, (TSFR3M + 2.512%), 7.908%, 10/19/34(B) | 2,229,091 | ||
2,632,500 | Hardee's Funding LLC, Ser 2021-1A, Class A2, 144a, 2.865%, 6/20/51 | 2,175,198 | ||
2,535,000 | Neighborly Issuer LLC, Ser 2021-1A, Class A2, 144a, 3.584%, 4/30/51 | 2,200,727 | ||
2,250,000 | New Mountain CLO 3, Ltd. (Cayman Islands), Ser CLO-3A, Class C, 144a, (TSFR3M + 2.362%), 7.777%, 10/20/34(B) | 2,238,745 | ||
2,250,000 | Palmer Square CLO, Ltd. (Cayman Islands), Ser 2021-4A, Class D, 144a, (TSFR3M + 3.212%), 8.605%, 10/15/34(B) | 2,237,033 | ||
2,417,000 | STWD, Ltd. (Cayman Islands), Ser 2021-FL2, Class D, 144a, (TSFR1M + 2.914%), 8.273%, 4/18/38(B) | 2,114,561 | ||
2,595,410 | TRTX Issuer, Ltd. (Cayman Islands), Ser 2019-FL3, Class C, 144a, (TSFR1M + 2.214%), 7.576%, 10/15/34(B) | 2,492,629 | ||
2,250,000 | Whitebox CLO I, Ltd. (Cayman Islands), Ser 2019-1A, Class BR, 144a, (TSFR3M + 2.312%), 7.710%, 7/24/32(B) | 2,237,063 | ||
Total Asset-Backed Securities | $24,211,831 | |||
Non-Agency Collateralized Mortgage Obligations — 5.0% | ||||
1,405,000 | Connecticut Avenue Securities Trust, Ser 2022-R04, Class 1M2, 144a, (SOFR30A + 3.10%), 8.437%, 3/25/42(B) | 1,449,572 | ||
3,250,000 | Freddie Mac STACR REMIC Trust, Ser 2022-DNA3, Class M1B, 144a, (SOFR30A + 2.900%), 8.237%, 4/25/42(B) | 3,337,037 | ||
3,750,000 | Mill City Mortgage Loan Trust, Ser 2017-2, Class B2, 144a, 4.284%, 7/25/59(B)(C) | 3,217,668 | ||
2,375,000 | Towd Point Mortgage Trust, Ser 2015-2, Class 1B3, 144a, 3.676%, 11/25/60(B)(C) | 2,025,145 | ||
Total Non-Agency Collateralized Mortgage Obligations | $10,029,422 |
Shares | ||||
Common Stocks — 4.2% | ||||
Financials — 1.5% | ||||
19,200 | Bank of America Corp. | 646,464 | ||
1,704 | Goldman Sachs Group, Inc. (The) | 657,352 | ||
44 | Hi-Crush, Inc.(D)* | 1,687,997 | ||
2,991,813 | ||||
Information Technology — 0.6% | ||||
4,352 | International Business Machines Corp. | 711,770 | ||
3,439 | Texas Instruments, Inc. | 586,212 | ||
1,297,982 | ||||
Industrials — 0.6% | ||||
1,351 | Lockheed Martin Corp. | 612,327 | ||
6,936 | RTX Corp. | 583,595 | ||
1,195,922 | ||||
Communication Services — 0.3% | ||||
41,944 | AT&T, Inc. | 703,821 | ||
Consumer Staples — 0.3% | ||||
6,351 | Philip Morris International, Inc. | 597,502 |
14
Touchstone Strategic Income Opportunities Fund (Unaudited) (Continued)
Shares | MarketValue | |||
Common Stocks — 4.2% (Continued) | ||||
Materials — 0.3% | ||||
39,560 | Covia* | $ 573,620 | ||
Energy — 0.3% | ||||
5,698 | Exxon Mobil Corp. | 569,686 | ||
Health Care — 0.3% | ||||
3,626 | Johnson & Johnson | 568,339 | ||
Total Common Stocks | $8,498,685 |
Principal Amount | ||||
Commercial Mortgage-Backed Securities — 3.7% | ||||
$ 2,700,000 | BX Commercial Mortgage Trust, Ser 2020-VIV2, Class C, 144a, 3.542%, 3/9/44(B)(C) | 2,309,279 | ||
5,000,000 | CGMS Commercial Mortgage Trust, Ser 2017-B1, Class D, 144a, 3.000%, 8/15/50 | 3,238,617 | ||
2,202,000 | GS Mortgage Securities Corp. Trust, Ser 2017-SLP, Class E, 144a, 4.591%, 10/10/32(B)(C) | 2,004,560 | ||
Total Commercial Mortgage-Backed Securities | $7,552,456 | |||
Sovereign Government Obligations — 2.3% | ||||
850,000 | Angolan Government International Bond, 144a, 8.000%, 11/26/29 | 753,865 | ||
697,000 | Bahamas Government International Bond, 144a, 6.000%, 11/21/28 | 613,360 | ||
1,000,000 | Egypt Government International Bond, 8.500%, 1/31/47 | 619,916 | ||
705,000 | Gabon Government International Bond, 144a, 6.625%, 2/6/31 | 587,276 | ||
1,350,000 | Ghana Government International Bond, 144a, 8.627%, 6/16/49 | 573,024 | ||
650,000 | Republic of Uzbekistan International Bond, 144a, 3.700%, 11/25/30 | 545,350 | ||
900,000 | Serbia International Bond, 2.125%, 12/1/30 | 720,000 | ||
200,000 | Ukraine Government International Bond, 144a, 7.253%, 3/15/35 | 47,000 | ||
1,020,000 | Ukraine Government International Bond, 7.253%, 3/15/35 | 239,700 | ||
Total Sovereign Government Obligations | $4,699,491 | |||
Agency Collateralized Mortgage Obligations — 0.5% | ||||
24,035,760 | FRESB Mortgage Trust, Ser 2020-SB78, Class X1, 1.138%, 6/25/40(B)(C)(E) | 900,341 |
Number of Rights | ||||
Rights — 0.0% | ||||
Energy — 0.0% | ||||
27,942 | Vistra Energy Corp. Tax Return Rights, 12/6/26* | 36,045 |
Shares | ||||
Preferred Stocks — 0.0% | ||||
Financials — 0.0% | ||||
95,203 | First Republic Bank, Ser K, 13.930%(A) | 8,568 |
Shares | MarketValue | |||
Short-Term Investment Funds — 2.5% | ||||
4,739,857 | Dreyfus Government Cash Management, Institutional Shares, 5.25%∞Ω | $ 4,739,857 | ||
217,140 | Invesco Government & Agency Portfolio, Institutional Class, 5.28%∞Ω** | 217,140 | ||
Total Short-Term Investment Funds | $4,956,997 | |||
Total Investment Securities—99.0% (Cost $211,583,969) | $199,770,164 | |||
Other Assets in Excess of Liabilities — 1.0% | 2,008,489 | |||
Net Assets — 100.0% | $201,778,653 |
(A) | Perpetual Bond - A bond or preferred stock with no definite maturity date. |
(B) | Variable rate security - Rate reflected is the rate in effect as of December 31, 2023. |
(C) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(D) | Level 3- For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying Notes to Portfolios of Investments. |
(E) | Interest only security - This type of security represents the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding. |
* | Non-income producing security. |
** | Represents collateral for securities loaned. |
† | All or a portion of the security is on loan. The total market value of the securities on loan as of December 31, 2023 was $205,611. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of December 31, 2023. |
Portfolio Abbreviations: |
CLO – Collateralized Loan Obligation |
FRESB – Freddie Mac Multifamily Securitization Small Balance Loan |
ICE – Intercontinental Exchange, Inc. |
LLC – Limited Liability Company |
LP – Limited Partnership |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
REMIC – Real Estate Mortgage Investment Conduit |
SOC – State-Owned Company |
SOFR30A – Secured Overnight Financing Rate 30 Day Average |
STACR – Structured Agency Credit Risk |
TSFR1M – One Month Term Secured Overnight Financing Rate |
TSFR3M – Three Month Term Secured Overnight Financing Rate |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023, these securities were valued at $85,084,079 or 42.2% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
15
Touchstone Strategic Income Opportunities Fund (Unaudited) (Continued)
Other Information:
The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying Notes to Portfolios of Investments.
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Assets: | ||||
Corporate Bonds | $— | $90,868,302 | $— | $90,868,302 |
U.S. Treasury Obligations | — | 48,008,026 | — | 48,008,026 |
Asset-Backed Securities | — | 24,211,831 | — | 24,211,831 |
Non-Agency Collateralized Mortgage Obligations | — | 10,029,422 | — | 10,029,422 |
Common Stocks | 6,237,068 | 573,620 | 1,687,997 | 8,498,685 |
Commercial Mortgage-Backed Securities | — | 7,552,456 | — | 7,552,456 |
Sovereign Government Obligations | — | 4,699,491 | — | 4,699,491 |
Agency Collateralized Mortgage Obligations | — | 900,341 | — | 900,341 |
Rights | — | 36,045 | — | 36,045 |
Preferred Stocks | 8,568 | — | — | 8,568 |
Short-Term Investment Funds | 4,956,997 | — | — | 4,956,997 |
Other Financial Instruments | ||||
Futures | ||||
Interest rate contracts | 332,859 | — | — | 332,859 |
Total Assets | $11,535,492 | $186,879,534 | $1,687,997 | $200,103,023 |
Liabilities: | ||||
Other Financial Instruments | ||||
Swap Agreements | ||||
Credit contracts | $— | $(550,440) | $— | $(550,440) |
Futures | ||||
Interest rate contracts | (80,568) | — | — | (80,568) |
Total Liabilities | $(80,568) | $(550,440) | $— | $(631,008) |
Total | $11,454,924 | $186,329,094 | $1,687,997 | $199,472,015 |
Measurements Using Unobservable Inputs (Level 3) | |
Assets | Common Stocks |
Beginning balance, March 31, 2023 | $1,662,191 |
Change in unrealized appreciation (depreciation) | 25,806 |
Ending balance, December 31, 2023 | $1,687,997 |
Net Change in Unrealized Appreciation/Depreciation for Investments in Securities still held at December 31, 2023 | $25,806 |
Common Stocks | Fair Value | Valuation Technique | Unobservable Input | Value or range of input | Impact to valuation from an increase to the input |
Hi-Crush, Inc. | $1,687,997 | Market Approach | Transaction Price | $47,500 | N/A |
16
Touchstone Strategic Income Opportunities Fund (Unaudited) (Continued)
Futures Contracts
At December 31, 2023, $184,137 was segregated with the broker as collateral for futures contracts. The Fund had the following futures contracts, brokered by Wells Fargo, open at December 31, 2023:
Description | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation/ Depreciation |
Short Futures: | ||||
30-Year U.S. Ultra Treasury Bond | 3/19/2024 | 23 | $3,072,656 | $(80,568) |
Long Futures: | ||||
2-Year U.S. Treasury Note | 3/28/2024 | 158 | 32,534,422 | 332,859 |
$252,291 |
Centrally Cleared Credit Default Swaps on Credit Indices(1)
Counterparty | Termination Date | Notional Amount(2) | Pay Fixed Rate | Clearinghouse | Underlying Bond | Value(3) | Premiums Paid/ (Received) | Unrealized Depreciation |
Buy Protection: | ||||||||
Wells Fargo | 12/20/28 | $9,251,550 | 5.000% | ICE | Markit CDX North America High Yield Series 41 5Y Index | $(539,669) | $10,771 | $(550,440) |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying investments comprising the referenced index or (ii) receive a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) | The quoted market prices and resulting values for credit default swap agreements on the underlying bond serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
17
Notes to Portfolios of Investments
December 31, 2023 (Unaudited)
Security valuation and fair value measurements — U.S. generally accepted accounting principles (“U.S. GAAP”) defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. All investments in securities are recorded at their fair value. The Funds define the term “market value”, as used throughout this report, as the estimated fair value. The Funds use various methods to measure fair value of their portfolio securities on a recurring basis. U.S. GAAP fair value measurement standards require disclosure of a hierarchy that prioritizes inputs to valuation methods. These inputs are summarized in the three broad levels listed below:
• Level 1 − quoted prices in active markets for identical securities
• Level 2 − other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
• Level 3 − significant unobservable inputs (including a Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The aggregate value by input level, as of December 31, 2023, for each Fund’s investments, is included in each Fund’s Portfolio of Investments, which also includes a breakdown of the Fund’s investments by geographic, portfolio or sector allocation. The Strategic Income Opportunities Fund held Level 3 categorized securities during the period ended December 31, 2023. Refer to the Portfolio of Investments for a reconciliation of Level 3 holdings.
Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the hierarchy.
The Funds' portfolio securities are valued as of the close of the regular session of trading on the New York Stock Exchange (“NYSE”) (currently 4:00 p.m., Eastern Time or at the time as of which the NYSE establishes official closing prices). Portfolio securities traded on stock exchanges are valued at the last reported sale price, official close price, or last bid price if no sales are reported. Portfolio securities quoted by NASDAQ are valued at the NASDAQ Official Closing Price (“NOCP”) or from the primary exchange on which the security trades. To the extent these securities are actively traded, they are categorized in Level 1 of the fair value hierarchy. Options and futures are valued at the last quoted sales price. If there is no such reported sale on the valuation date, long option positions are valued at the most recent bid price, and short option positions are valued at the most recent ask price on the valuation date and are categorized in Level 1. Shares of mutual funds in which the Funds invest are valued at their respective net asset value (“NAV”) as reported by the underlying funds and are categorized in Level 1.
Debt securities held by the Funds are valued at their evaluated bid by an independent pricing service or at their last broker-quoted bid prices as obtained from one or more of the major market makers for such securities. Independent pricing services use information provided by market makers or estimates of market values through accepted market modeling conventions. Observable inputs to the models may include prepayment speeds, pricing spread, yield, trade information, dealer quotes, market color, cash flow models, the securities’ terms and conditions, among others, and are generally categorized in Level 2. Investments in asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche, and are generally categorized in Level 2. Debt securities with remaining maturities of 60 days or less may be valued at amortized cost, provided such amount approximates market value and are categorized in Level 2. While this method provides consistency in valuation (and may only be used if it approximates market value), it may result in periods during which fair value, as determined by amortized cost, is higher or lower than the price that would be received if the Fund sold the investment.
Securities mainly traded on a non-U.S. exchange or denominated in foreign currencies are generally valued according to the preceding closing values on that exchange, translated to U.S. dollars using currency exchange rates as of the close of regular trading on the NYSE, and are generally categorized in Level 1. However, if an event that may change the value of a security occurs after the time that the closing value on the non-U.S. exchange was determined, but before the close of regular trading on the NYSE, the security may be priced based on fair value and is generally categorized in Level 2. This may cause the value of the security, if held on the books of a Fund, to be different from the closing value on the non-U.S. exchange and may affect the calculation of that Fund’s NAV. The Funds may use fair value pricing under the following circumstances, among others:
• If the value of a security has been materially affected by events occurring before the Funds' pricing time but after the close of the primary markets on which the security is traded.
• If the exchange on which a portfolio security is principally traded closes early or if trading in a particular portfolio security was halted during the day and did not resume prior to the Funds' NAV calculation.
• If a security is so thinly traded that reliable market quotations are unavailable due to infrequent trading.
• If the validity of market quotations is not reliable.
18
Notes to Portfolios of Investments (Unaudited) (Continued)
Securities held by the Funds that do not have readily available market quotations, significant observable inputs, or securities for which the available market quotations are not reliable, are priced at their estimated fair value using procedures established by the Adviser and adopted by the Funds’ Board of Trustees and are generally categorized in Level 3.
Each Fund is an investment company that follows the accounting and reporting guidance of Accounting Standards Codification Topic 946 applicable to investment companies.
Security transactions—Security transactions are reflected for financial reporting purposes as of the trade date.
19